Causality, real estate prices, and the current account

Jinjarak, Yothin; Sheffrin, Steven M.

doi:10.1016/j.jmacro.2010.11.001

Cited by 26 publications

(11 citation statements)

References 21 publications

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“…4 Based on a large cross-section of countries Kole and Martin (2009) Jinjarak and Sheffrin (2011). They argue that current account deficits were unlikely to directly drive real estate prices in the US, Spain and Ireland.…”

Section: Related Literaturementioning

confidence: 99%

Capital inflows and asset prices: Evidence from emerging Asia

Tillmann

2013

Journal of Banking & Finance

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The withdrawal of foreign capital from emerging countries at the height of the recent financial crisis and its quick return sparked a debate about the impact of capital flow surges on asset markets. This paper addresses the response of property prices to an inflow of foreign capital. For that purpose we estimate a panel VAR on a set of Asian emerging market economies, for which the waves of inflows were particularly pronounced, and identify capital inflow shocks based on sign restrictions. Our results suggest that capital inflow shocks have a significant effect on the appreciation of house prices and equity prices. Capital inflow shocks account for -roughly -twice the portion of overall house price changes they explain in OECD countries. We also address cross-country differences in the house price responses to shocks, which are most likely due to differences in the monetary policy response to capital inflows.

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Section: Related Literaturementioning

confidence: 99%

Capital inflows and asset prices: Evidence from emerging Asia

Tillmann

2013

Journal of Banking & Finance

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“…both equity and house prices) were the main drivers of US current account fluctuations. Jinjarak and Sheffrin (2011) examined the causality between the real estate and the current account using recent econometric methods for recursive systems. They found little evidence that current account deficits or current surpluses directly drove the real estate prices in the United States, Spain and Ireland.…”

Section: Review Of Findings In Other Countriesmentioning

confidence: 99%

“…According to this model, there is a positive correlation between real estate price appreciation and the current account deficit. According to Jinjarak and Sheffrin (2011), animal spirits and optimism could drive individuals to purchase assets, in turn appreciating their prices, leading to further asset purchases. In Figure 8.2, we show the relationship between the current account and net portfolio flows.…”

Section: Introductionmentioning

confidence: 99%

Monetary Policy and the Economy in South Africa

Ncube

Ndou

2013

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Palgrave Macmillan is the global academic imprint of the above companies and has companies and representatives throughout the world.Palgrave® and Macmillan® are registered trademarks in the United States, the United Kingdom, Europe and other countries This book is printed on paper suitable for recycling and made from fully managed and sustained forest sources. Logging, pulping and manufacturing processes are expected to conform to the environmental regulations of the country of origin. A catalogue record for this book is available from the British Library.A catalog record for this book is available from the Library of Congress.

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“…He found that capital inflow shocks significantly push up housing and stock prices. Also, Jinjarak and Sheffrin (2011) studied the link between house prices and the current account. However, they argue that current account deficits were unlikely to directly affect real estate prices in the US, Spain and Ireland.…”

Section: Literature Reviewmentioning

confidence: 99%

Linkage between external and internal imbalance: The case of Serbia

Živkov¹,

Njegić²,

Ljumović³

2013

Industrija

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After a while almost all transition and emerging countries that have entered into the process of economic reforms became attractive for foreign direct investments and foreign loans. Consequently, huge amount of capital inflow lead to the surpluses in the financial-capital account. Capital that has entered the system usually converts into the local currency and thus contributes to the growth of money supply in the system. However, high level of money supply leads to internal imbalances such as relatively high inflation and unstable exchange rate. In this paper authors try to give an answer to whether above described scenario is characteristic for Serbian transition economy. In this process the paper use linear regression, vector autoregression (VAR) and error correction model.

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Causality, real estate prices, and the current account

Cited by 26 publications

References 21 publications

Capital inflows and asset prices: Evidence from emerging Asia

Capital inflows and asset prices: Evidence from emerging Asia

Monetary Policy and the Economy in South Africa

Linkage between external and internal imbalance: The case of Serbia

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